Moment Risk Premia and Stock Return Predictability
研究了期权隐含的矩风险溢价对股票收益的预测能力，发现二阶、三阶和四阶风险溢价在不同预测期限上有不同符号的预测力，组合使用能提升多期限预测效果。
Abstract We study the predictive power of option-implied moment risk premia embedded in the conventional variance risk premium. We find that although the second-moment risk premium predicts market returns in short horizons with positive coefficients, the third-moment (fourth-moment) risk premium predicts market returns in medium horizons with negative (positive) coefficients. Combining the higher-moment risk premia with the second-moment risk premium improves the stock return predictability over multiple horizons, both in sample and out of sample. The finding is economically significant in an asset-allocation exercise and survives a series of robustness checks.